Skip Navigation

Biometrika 1987 74(1):115-124; doi:10.1093/biomet/74.1.115
© 1987 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by REINSEL, G. C.
Right arrow Articles by WINCEK, M. A.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Asymptotic distribution of parameter estimators for nonconsecutively observed time series

GREGORY C. REINSEL and MICHAEL A. WINCEK

Department of Statistics, University of Wisconsin Madison, Wisconsin 53706, U.S.A.
Research Laboratories, General Motors Corporation Warren, Michigan 48090, U.S.A.

The asymptotic normal distributions of two estimators, the maximum likelihood estimator and an alternative weighted least-squares estimator proposed by Wincek & Reinsel (1986) for parameter estimation of autoregressive-moving average models with nonconsecutively observed or missing data are derived for the stationary first-order autoregressive model, and also for the moving average model under periodic A-B sampling. Numerical comparisons of the explicit asymptotic variances of the two estimators under both normal and nonnormal distributional assumptions are presented, and results are contrasted between the first-order autoregressive and first-order moving average models.

Key Words: Asymptotic normality • Autoregressive model • Maximum likelihood estimation • Missing data • Moving average model • Weighted least-squares estimator


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.